What is the proper way to make this robot arm?
Less is more ...
Add Circle 8 sides
(Rotate R 22.5, Extrude E, Scale S, Copy Shift+D, move and scale down, select 4 vertices press F ...

Add Subdivision Surface Modifier
Select edges you want keep as Sharp Edges Shift+E press 1

... here topology version for Quad Evangelists :)

Add thickness - you can simply select all and Extrude or use Solidify Mofifier. For more natural look of edges try Bevel Modifier


Note:
in some cases you can also use Bezier Curve with very similar workflow of creation - start from circle, duplicate, scale, extrude or connect points. You dont even have to manipulate with handles, you just select few of them and switch handle type V to Vector that automatically switch direction to point of a next control point.

For extrusion and bevelling edge use Properties Editor &gt; Object Data &gt; Geometry &gt; Extrude and Bevel &gt; Depth.
But keep in mind model can't be unwrapped, but it doen't has to be a deal in some cases with pointiness and other procedural material nodes.